hhaa017.pdf
时间: 2023-11-28 20:45:05 浏览: 71
1. Aggregate stock returns can be predicted using a factor model.
2. The factor model allows for time-varying loadings of the SDF on portfolios.
3. Factor timing can be beneficial, but the benefits are strongly time-varying and result in more heterogeneity.
4. The optimal factor timing portfolio is equivalent to the stochastic discount factor.
5. The authors propose a method for constructing the optimal factor timing portfolio.
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